Alternative way of merging vertices
Ok so real answer is that in the video you link he's using an addon by Pitiwazou and he gives the links in the comments:

https://gumroad.com/l/pie_menu_editor

https://gumroad.com/l/wazou_rmb_pie_menu_v2

Old answer:

Maybe he was snapping a vertex to another one, with the Snap option (Vertices mode) and the Automatically Merge Vertices option enabled? You can even activate the snap tool with ctrl.